CAREER: Empirical Analysis of Financial Markets Using Auction Data

职业：使用拍卖数据对金融市场进行实证分析

• 批准号: 1352305
• 负责人: Jakub Kastl
• 金额: $ 45万
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2014
• 资助国家: 美国
• 起止时间: 2014-03-15 至 2022-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1352305&HistoricalAwards=false
• 关键词: CAREER; Empirical; Analysis; Financial; Markets

The recent financial crisis has underscored the importance of understanding the mechanics of the banking system and especially the mechanisms used to allocate liquidity/short-term funds among the participating banks. Many financial markets are organized as auctions and the goal of this proposal is to leverage the economic theory explaining behaviour in auction markets in order to speak to the mechanics of the financial markets themselves. For example, much of the transactions between banks takes place over-the-counter andis thus unobserved to outsiders. Nevertheless since banks participate frequently in various transactions with the central banks, such as auctions of loans conducted by the European Central Banks, we can construct a link between the cost of funding a bank faces in the interbank market and its willingness-to-pay for a loan from the central bank. The auction theory informs us how bidders would translate their willingness-to-pay into bids given an auction mechanism. We can therefore employ econometric techniques that allow us to dothe reverse: recover the willingness-to-pay from the observed bids and thus to recover the cost of funding of every bank. This proposal consists of several projects described in more detail below that make use of this approach to address important issues such as quantification of systemic risk, evaluation of the mechanism used to settle the credit default swap contracts financially or estimation of the elasticity of demand for US Debt.In the first part of this project the PI proposes to recover information about the cost of short-term funding by using bids from the European Central Banks (ECB) weekly refinancing auctions, the primary tool of European monetary policy. The PI proposes to a novel method that utilizes the dynamics of these funding costs to gain insights about the financial network (the unobserved exposures of banks to one another) in order to quantify the systemic risk: the extent to which a negative shock to one bank can affect the funding costs of other banks. This research is thus a direct complement to parallel efforts to estimate this important parameter, which regulators are very interested in. The PI focuses on the time of severe distress (2007-09), which includes the onset of the 2007 financial crisis and the failure of Lehman Brothers. Using bids from main refinancing operations of the ECB, the project will contribute to our understanding of financial networks and it will provide methods how to uncover the links between banks, which are typically unobserved due tothe over-the-counter nature of the interbank transactions, using auxiliary data. The second part of the project focuses on auctions held after various triggering events such as defaults that are aimed at financial settlement of credit default swaps (CDS). Since the amount of outstanding CDS contracts greatly exceeds the amount of covered bonds, the currently employed two-stage auction procedure is a very important price-discovery mechanism that allows for financial settlement of these contracts after a triggering event. Yet, the strange features of this mechanism may cast some doubt on whether the participants have the right incentives to behave in a way that the resulting price of the bond corresponds to its true value. The proposed project therefore will contribute to our understanding of this important market by evaluating the benefits and deficiencies of the two-stage mechanism that is currently used. The final part of this project focuses on the issuance of US Debt by the Department of Treasury. The goal is to estimate the elasticities of demand for different debt instruments of various maturities and their substitution patterns by recovering the willingness-to-pay for various securities directly from the submitted bids. These results should help the Treasury guide its decision on the mix of maturities that are sold in a given week. The secondary goal of this project is to analyze the costs and benefits of the primary dealersystem.Broader impact: The proposed research has the potential to generate measures of financial health of individual banks and quantify the importance of a bank for the whole system, i.e., its ?systemic-ness?. Using the proposed methods we thus may be able to formally identify the ?too-big-to-fail? banks, and hence we may improve targeting of potential policy interventions. The analysis of credit default swap auctions should shed some light on the reliability of that mechanism to discover the correct price of bonds of defaulted issuersand potentially point to its deficiencies and propose improvements to the auction mechanism. The results should be of interest to regulators, central banks and policy-makers. The results will be disseminated broadly to promote their application by the relevant institutions.

最近的金融危机强调了了解银行系统机制，尤其是用于分配参与银行中流动性/短期资金的机制的重要性。许多金融市场都是作为拍卖组织的，该提案的目的是利用经济理论来解释拍卖市场的行为，以便与金融市场本身的机制交谈。例如，银行之间的许多交易发生在非处方，因此对局外人没有观察到。然而，由于银行经常与中央银行进行各种交易，例如欧洲中央银行进行的贷款拍卖，我们可以在银行面对银行间市场的资金成本与中央银行的贷款意愿之间建立联系。拍卖理论告诉我们，竞标者将如何将其付款意愿转化为鉴于拍卖机制的投标。因此，我们可以采用能够使我们逆转的计量经济学技术：从观察到的投标中恢复付费的意愿，从而收回每个银行的资金成本。该提案由下面更详细描述的几个项目组成，这些项目利用这种方法来解决重要问题，例如量化系统性风险，评估用于结算信用违约掉期合同的机制或对美国债务需求的估计的估计。货币政策。 PI建议使用这些资金成本动态的新方法来获得有关金融网络（未观察到的银行彼此接触）的见解，以量化系统性风险：对一家银行的负面冲击会影响其他银行的资金成本的程度。因此，这项研究是对估计这一重要参数的平行努力的直接补充，监管机构对此非常感兴趣。PI专注于严重困扰时代（2007-09），其中包括2007年金融危机的发作和雷曼兄弟的失败。该项目使用欧洲央行的主要再融资操作的投标，有助于我们对金融网络的理解，它将提供如何使用辅助数据的银行之间的银行之间的联系，而银行之间通常没有任何银行交易的非处置性质。该项目的第二部分重点是在各种触发事件（例如旨在旨在信用违约掉期（CDS）财务结算）之类的违约事件之后举行的拍卖。由于未偿还的CD合同的金额大大超过了承保债券的金额，因此目前使用的两阶段拍卖程序是一种非常重要的价格确定机制，可以在触发事件发生后对这些合同进行财务结算。然而，这种机制的奇怪特征可能会怀疑参与者是否有正确的激励措施以债券的结果价格与其真实价值相对应。因此，拟议的项目将通过评估当前使用的两阶段机制的收益和缺陷来为我们对这个重要市场的理解做出贡献。该项目的最后一部分着重于财政部发行美国债务。目的是通过直接从提交的竞标中收回各种证券的付款意愿来估算各种债务工具的需求弹性及其替代方式。这些结果应有助于国库指导其决定在给定星期内出售的到期票的混合。该项目的次要目标是分析主要经销商系统的成本和收益。BROADER的影响：拟议的研究有可能产生单个银行财务状况的衡量，并量化银行对整个系统的重要性，即它的？系统性？因此，使用所提出的方法，我们可能能够正式识别“太多”过失？银行，因此我们可能会改善对潜在政策干预措施的目标。信用违约掉期拍卖的分析应阐明该机制的可靠性，以发现违约发行的债券的正确价格，并可能指出其缺陷，并提出对拍卖机制的改进。监管机构，中央银行和政策制定者应该感兴趣的结果。结果将广泛传播，以促进相关机构的应用。